RiskTech Forum

TriOptima: SA-CCR: What you need to know

Posted: 15 March 2018  |  Source: TriOptima

The Basel Committee’s new standardised approach for measuring counterparty credit risk (SA-CCR) will have substantial implications on the emerging regulatory capital framework.

Though SA-CCR officially took effect 01 January 2017, implementation has been delayed in most jurisdictions. However, national regulators are increasingly introducing the new rules through quantitative impact studies, and eventually many banks will be required to report SA-CCR on a daily basis.

Because of these growing regulatory pressures, banks need to understand SA-CCR’s impact on their capital requirements and manage the significant calculation challenges the regulation poses, including new add-on, potential future exposure (PFE) and replacement cost (RC) calculations that are required to calculate exposure at default (EAD).

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